How optimal is US monetary policy?

• 成果类型: Article
• 署名作者: Chen, Xiaoshan; Kirsanova, Tatiana; Leith, Campbell
• 署名单位: Durham University; University of Glasgow
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/j.jmoneco.2017.09.009
• 发表日期: 2017
• 页码: 96-111
• 关键词: Bayesian estimation; Interest rate rules; optimal monetary policy; Great Moderation

摘要

Using a small-scale microfounded DSGE model with Markov switching in shock variances and policy parameters, we show that the data-preferred description of US monetary policy is a time-consistent targeting rule with a marked increase in conservatism after the 1970s. However, the Fed lost its conservatism temporarily in the aftermath of the 1987 stock market crash, and again following the 2000 dot-corn crash and has not subsequently regained it. The high inflation of the 1970s would have been avoided had the Fed been able to commit, even without the appointment of Paul Volcker or the reduction in shock volatilities. (C) 2017 Elsevier B.V. All rights reserved.